PEMBENTUKAN PORTFOLIO OPTIMAL REKSADANA SAHAM BLUE CHIP (LQ45) DENGAN PENDEKATAN GOAL PROGRAMING PADA KONDISI PASAR SAHAM BERBEDA

Abstract

In the bull market, the optimal portfolio for investors who risk averter, generated as follows (check Table 2): (a) Investment in shares of cement Gresik (SMGR) = USD $ 41,877,560.00; (b) Investment in shares EARTH = USD 58 122 .440,00, and (c) Cash = USD 0.00. Do not invest in shares of other woods third (BBRI, TLKM, and LSIP). Portfolio is optimal, because no violation of the provisions adopted by investors and conventions in force (especially the maximum cash inventory, amounted to USD 20,000,000.00). As for invetor a risk seeker, the resulting optimal portfolio is as follows (check Table 3): (a) Investment in shares of cement Gresik (SMGR) = USD $ 33,877,551.00; (b) Investment in shares EARTH = Rp 66 122. 448.00, and (c) Cash = USD 0.00. In the bull market, stock SMGR and apparently EARTH is invested in stocks for good potential for investors and for investors risk averter risk seekers. At a bearish market, the optimal portfolio for investors who risk averter, generated as follows (check Table 4): (a) Investment in shares BBRI = USD 51,530,569.01; (b) Investment in shares TLKM = Rp 20,000,000.00 (c) Investments in shares EARTH = Rp 8,469,430.99, and (d) Cash = USD 20,000,000.00. In the other two stocks (SMGR and LISP) do not invest. As for invetor a risk seeker, the resulting optimal portfolio is as follows (check Table 5): (a) Investment in shares BBRI = USD $ 29,020,000.00; (b) Investment in shares TLKM = USD 20,000,000.00; (c) Investments in shares EARTH = USD $ 30,980,000.00, and (d) Cash = USD 20,000,000.00. In the other two stocks (SMGR and LISP) do not invest. At a bearish market, stock BBRI, TLKM and EARTH proved to be a good stock for investment potential for investors and for investors risk averter risk seekers. At the moment the market is bearish, need to be backed up cash (USD 20,000,000.00) to ensure liquidity investors are concerned.